Characteristic equation (calculus) explained

In mathematics, the characteristic equation (or auxiliary equation) is an algebraic equation of degree upon which depends the solution of a given th-order differential equation^[1] or difference equation.^{[2] [3]} The characteristic equation can only be formed when the differential or difference equation is linear and homogeneous, and has constant coefficients.^[4] Such a differential equation, with as the dependent variable, superscript denoting n^th-derivative, and as constants,

will have a characteristic equation of the form whose solutions are the roots from which the general solution can be formed.^{[5] [6]} Analogously, a linear difference equation of the form

has characteristic equation

discussed in more detail at Linear recurrence with constant coefficients.

The characteristic roots (roots of the characteristic equation) also provide qualitative information about the behavior of the variable whose evolution is described by the dynamic equation. For a differential equation parameterized on time, the variable's evolution is stable if and only if the real part of each root is negative. For difference equations, there is stability if and only if the modulus of each root is less than 1. For both types of equation, persistent fluctuations occur if there is at least one pair of complex roots.

The method of integrating linear ordinary differential equations with constant coefficients was discovered by Leonhard Euler, who found that the solutions depended on an algebraic 'characteristic' equation. The qualities of the Euler's characteristic equation were later considered in greater detail by French mathematicians Augustin-Louis Cauchy and Gaspard Monge.

Derivation

Starting with a linear homogeneous differential equation with constant coefficients,

it can be seen that if, each term would be a constant multiple of . This results from the fact that the derivative of the exponential function is a multiple of itself. Therefore,,, and are all multiples. This suggests that certain values of will allow multiples of to sum to zero, thus solving the homogeneous differential equation. In order to solve for, one can substitute and its derivatives into the differential equation to get Since can never equal zero, it can be divided out, giving the characteristic equation By solving for the roots,, in this characteristic equation, one can find the general solution to the differential equation. For example, if has roots equal to 3, 11, and 40, then the general solution will be , where , , and are arbitrary constants which need to be determined by the boundary and/or initial conditions.

Formation of the general solution

Solving the characteristic equation for its roots,, allows one to find the general solution of the differential equation. The roots may be real or complex, as well as distinct or repeated. If a characteristic equation has parts with distinct real roots, repeated roots, or complex roots corresponding to general solutions of,, and, respectively, then the general solution to the differential equation is

Example

The linear homogeneous differential equation with constant coefficients

has the characteristic equation By factoring the characteristic equation into one can see that the solutions for are the distinct single root and the double complex roots . This corresponds to the real-valued general solution with constants .

Distinct real roots

The superposition principle for linear homogeneous says that if are linearly independent solutions to a particular differential equation, then is also a solution for all values .^[7] Therefore, if the characteristic equation has distinct real roots, then a general solution will be of the form

Repeated real roots

If the characteristic equation has a root that is repeated times, then it is clear that is at least one solution. However, this solution lacks linearly independent solutions from the other roots. Since has multiplicity, the differential equation can be factored into

The fact that is one solution allows one to presume that the general solution may be of the form, where is a function to be determined. Substituting gives when . By applying this fact times, it follows that By dividing out, it can be seen that Therefore, the general case for is a polynomial of degree, so that . Since, the part of the general solution corresponding to is

Complex roots

If a second-order differential equation has a characteristic equation with complex conjugate roots of the form and, then the general solution is accordingly . By Euler's formula, which states that, this solution can be rewritten as follows:

where and are constants that can be non-real and which depend on the initial conditions. (Indeed, since is real, must be imaginary or zero and must be real, in order for both terms after the last equals sign to be real.)

For example, if, then the particular solution is formed. Similarly, if and, then the independent solution formed is . Thus by the superposition principle for linear homogeneous differential equations, a second-order differential equation having complex roots will result in the following general solution:

This analysis also applies to the parts of the solutions of a higher-order differential equation whose characteristic equation involves non-real complex conjugate roots.

See also

• Characteristic polynomial

Notes and References

1. Web site: History of Modern Mathematics: Differential Equations. Smith. David Eugene. University of South Florida.
2. Book: Baumol, William J.. Economic Dynamics. registration. 3rd. 1970. 172.
3. Book: Chiang, Alpha. Fundamental Methods of Mathematical Economics. registration. 3rd. 1984. 578, 600. McGraw-Hill . 9780070107809 .
4. Book: Edwards . C. Henry . Penney . David E. . David Calvis . Differential Equations: Computing and Modeling . Pearson Education . . 156–170 . Chapter 3 . 2008 . 978-0-13-600438-7.
5. Web site: Linear Homogeneous Ordinary Differential Equations with Constant Coefficients . Chu . Herman . Shah . Gaurav . Macall . Tom . eFunda . 1 March 2011.
6. Book: Cohen, Abraham. An Elementary Treatise on Differential Equations. D. C. Heath and Company. 1906.
7. Web site: Differential Equation Terminology. Dawkins. Paul. Paul's Online Math Notes. 2 March 2011.